Structural Breaks and the Expectations Hypothesis of the Term Structure: Some Empirical Evidence for the Philippines (2001-2017)
Autor: | Marco Tronzano |
---|---|
Rok vydání: | 2018 |
Předmět: |
Term structure of Interest rates
Expectations hypothesis Monetary policy Risk premium Cointegration Structural breaks Philippines media_common.quotation_subject Structural break Development General Business Management and Accounting Interest rate Econometrics Economics Yield curve Null hypothesis Empirical evidence General Economics Econometrics and Finance media_common |
Zdroj: | Asian Economic and Financial Review. 8:1472-1481 |
ISSN: | 2222-6737 2305-2147 |
DOI: | 10.18488/journal.aefr.2018.812.1472.1481 |
Popis: | This paper extends the empirical investigation of Tronzano (2018b) applying a cointegration test allowing for a structural break in the long-run equilibrium relationship. In line with Tronzano (2018b) the null hypothesis of absence of cointegration is strongly rejected for all interest rates maturities, while a significant structural break is detected at the end of 2008. A decrease in risk premium components is documented after the 2008 structural break, while the “symmetry” restriction is only supported after this regime-shift. Overall, the policy prescriptions from this analysis are in line with those outlined in Tronzano (2018b) supporting a monetary policy strategy based on interest rate smoothing. |
Databáze: | OpenAIRE |
Externí odkaz: |